Market efficiency and information content of Indian commodity futures markets

Vikas Pandey and Vipul

International Journal of Indian Culture and Business Management, 2017, vol. 14, issue 3, 274-293

Abstract: This article examines the efficiency of pricing of eight commodity futures traded at Multi Commodity Exchange (MCX) and National Commodity % Derivative Exchange (NCDEX) of India. We find that the current futures prices and the expiration-day spot prices are generally cointegrated, and exhibit market efficiency. We also find evidence of predictive content in the futures prices for the future spot prices. This content varies among different commodities, and is more significant for the natural gas and agricultural commodities, which have higher storage and transportation costs. The risk premium is absent in the futures prices of most of our commodities, excepting two agricultural commodities and nickel.

Keywords: commodity futures; India; predictive content; risk premium; market efficiency; information content; futures prices; expiration-day spot prices; natural gas; agriculture; agricultural commodities; nickel. (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=83232 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijicbm:v:14:y:2017:i:3:p:274-293

Access Statistics for this article

More articles in International Journal of Indian Culture and Business Management from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().